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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2005 Klaus Spanderen
This file is part of QuantLib, a free-software/open-source library
for financial quantitative analysts and developers - http://quantlib.org/
QuantLib is free software: you can redistribute it and/or modify it
under the terms of the QuantLib license. You should have received a
copy of the license along with this program; if not, please email
<quantlib-dev@lists.sf.net>. The license is also available online at
<http://quantlib.org/license.shtml>.
This program is distributed in the hope that it will be useful, but WITHOUT
ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
FOR A PARTICULAR PURPOSE. See the license for more details.
*/
#include "toplevelfixture.hpp"
#include "utilities.hpp"
#include <ql/math/matrixutilities/tqreigendecomposition.hpp>
using namespace QuantLib;
using boost::unit_test_framework::test_suite;
BOOST_FIXTURE_TEST_SUITE(QuantLibTests, TopLevelFixture)
BOOST_AUTO_TEST_SUITE(TqrEigenDecompositionTests)
BOOST_AUTO_TEST_CASE(testEigenValueDecomposition) {
BOOST_TEST_MESSAGE("Testing TQR eigenvalue decomposition...");
Array diag(5);
Array sub(4,1);
diag[0]=11; diag[1]=7; diag[2]=6; diag[3]=2; diag[4]=0;
Real ev[5] = {11.2467832217139119,
7.4854967362908535,
5.5251516080277518,
2.1811760273123308,
-0.4386075933448487};
TqrEigenDecomposition tqre(diag, sub,
TqrEigenDecomposition::WithoutEigenVector);
for (Size i=0; i < diag.size(); ++i) {
const Real expected(ev[i]);
const Real calculated(tqre.eigenvalues()[i]);
Real tolerance = 1.0e-10;
if (std::fabs(expected-calculated) > tolerance) {
BOOST_FAIL(std::string("wrong eigenvalue \n")
<< "calculated: "
<< calculated
<<" expected : "
<< expected);
}
}
}
BOOST_AUTO_TEST_CASE(testZeroOffDiagEigenValues) {
BOOST_TEST_MESSAGE("Testing TQR zero-off-diagonal eigenvalues...");
Array diag(5);
Array sub(4,1);
sub[0] =sub[2]=0;
diag[0]=12; diag[1]=9; diag[2]=6; diag[3]=3; diag[4]=0;
TqrEigenDecomposition tqre1(diag, sub);
sub[0]=sub[2]=1e-14;
TqrEigenDecomposition tqre2(diag, sub);
for (Size i=0; i < diag.size(); ++i) {
const Real expected(tqre2.eigenvalues()[i]);
const Real calculated(tqre1.eigenvalues()[i]);
Real tolerance = 1.0e-10;
if (std::fabs(expected-calculated) > tolerance) {
BOOST_FAIL(std::string("wrong eigenvalue \n")
<< "calculated: "
<< calculated
<< " expected : "
<< expected);
}
}
}
BOOST_AUTO_TEST_CASE(testEigenVectorDecomposition) {
BOOST_TEST_MESSAGE("Testing TQR eigenvector decomposition...");
Array diag(2,1);
Array sub(1,1);
TqrEigenDecomposition tqre(diag, sub);
Real tolerance = 1.0e-10;
if (std::fabs(0.25 + tqre.eigenvectors()[0][0]
* tqre.eigenvectors()[0][1]
* tqre.eigenvectors()[1][0]
* tqre.eigenvectors()[1][1]) > tolerance) {
BOOST_FAIL("wrong eigenvector");
}
}
BOOST_AUTO_TEST_SUITE_END()
BOOST_AUTO_TEST_SUITE_END()
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